Edit:
I can give you information which I know from the Xperia T, a device which applies the same concepts as the Z. Everything which applies to the T will eventually, most likely, also apply to the Z once the exploits to obtain root are found.
Ok, so, a locked bootloader prevents you running custom kernels and an custom recoveries "natively", meaning on a locked device you cannot natively boot a custom recovery. It's comparable to S-ON I believe. On the T devs managed to circumvent this by obtaining root on a locked device and then used root acces to modify the chargemon script which is run upon booting the device to make it load a custom recovery additionally to it's intended function. The recovery is not flashed on a separate partition but deposited on /system as an archive. The script simply unpacks and loads it. Because the recovery runs with root permissions, you can then use it to flash stuff despite having a locked bootloader.

On an unlocked device, you can flash any compatible kernel and recovery and also natively boot them. An unlocked bootloader means full and unlimited access to the device.

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